Recent content by henner247

hi, I'm just reading your new book and struggle with getting from risk weightings to cash weightings (don't call me stupid please ;-)) you have an example somewhere in the middle (i don't have the page number as I read it on my kindle). risk weighting 50/50 for equities and bonds. volatility...

sorry. I should have kept reading

hey, I'm reading your book right now. I like it. I was just wondering... you mention that you risk-adjust your timeseries. So divide the price by its vol. Which volatility do you take there as the denominator? a 50d moving-sd? an EMWA? thx

Thx. Have you checked your correlation to the MSCI world or some kind of global equities portfolio...? If it's low. How can I invest in you ?

ok, thanks. but there's no long-only equities exposure in it? I remember you said somewhere that is hedged out.

hey, I'm wondering... the charts and performance data you are showing. Is that your whole IB account? or just your systematic strategies? because you are saying profits from stocks & hedges.... nice job anyway and gl in the markets